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http://bura.brunel.ac.uk/handle/2438/28562| Title: | Corporate credit default swap systematic factors |
| Authors: | Chan, KK Lin, M-T Lu, Q |
| Keywords: | CDS determinants;CDS firm‐specific factors;CDS systematic factors;credit default swap;credit risk |
| Issue Date: | 16-Apr-2024 |
| Publisher: | Wiley |
| Citation: | Chan, K.K., Lin, M.-T. and Lu, Q. (2024) 'Corporate Credit Default Swap Systematic Factors', Journal of Futures Markets, 0 (ahead of print), pp. 1 -33.. doi: 10.1002/fut.22505. |
| Abstract: | We examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average <i>R</i><sup>2</sup> of 35%), while firm-specific factors are limited (with <i>R</i><sup>2</sup> of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management. |
| Description: | Data Availability: All data used is obtained from third-party data providers. Data will be made available on request with the permission of the data providers. JEL: G12, G13, G23. Supporting Information is available online at: https://onlinelibrary.wiley.com/doi/10.1002/fut.22505#support-information-section . |
| URI: | https://bura.brunel.ac.uk/handle/2438/28562 |
| DOI: | https://doi.org/10.1002/fut.22505 |
| ISSN: | 0270-7314 |
| Other Identifiers: | ORCiD: Ka Kei Chan https://orcid.org/0000-0001-5883-193X |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2024 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | 1.97 MB | Adobe PDF | View/Open |
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